Currently there is no OOTB way to add HTTP headers as part of SOAP connector execution.

Though it is not the recommended approach , customer may override invokeaxis2 to achieve this

The following code snipped would do the job

Options options = new Options(); 

java.util.List list = new java.util.ArrayList();

com.pega.apache.commons.httpclient.Header header = new com.pega.apache.commons.httpclient.Header(); 

//set the header key and value

header.setName("user"); 

header.setValue("admin"); 

list.add(header); 

options.setProperty(org.apache.axis2.transport.http.HTTPConstants.HTTP_HEADERS, list); 

client.setOptions(options);